Share your experience!
That's strange. It should not matter where you bought your phone. You haven't rooted your phone or changed to a 3:rd party ROM?
If you send me a PM with the IMEI of your phone i can test with the customization you have.
I've tested this on the same software that you have in your phone and it works fine for me so it's not an issue with the software you have in your phone.
If you connect a thumb drive using an OTG-cable and then open the preinstalled app called "File Commander" you should see "External USB storage" as en option. If you tap it you will see all files on the thumb drive and using File Commander you can copy files to/from the thumb drive.
If this doesn't work i recommend that you bring the phone, cable and thumb drive to a service location for further investigation.